64 citations · 410 across the 142 of their papers we have counts for
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math.OC2017★ 3 cited
Dynamic Programming Principles for Optimal Stopping with Expectation Constraint
Erhan Bayraktar, Song Yao
We analyze an optimal stopping problem with a constraint on the expected cost. When the reward function and cost function are Lipschitz continuous in state variable, we show that t…
math.OC2017
A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method
Erhan Bayraktar, Amarjit Budhiraja, Asaf Cohen
We use the Markov chain approximation method to construct approximations for the solution of the mean field game (MFG) with reflecting barriers studied in Bayraktar, Budhiraja, and…